V-Lab: AEX-Index MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

AEX-Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 6th, 2022:19.57% (+0.34%)

Analysis last updated: Wednesday, October 5, 2022, 03:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8406	223.46
$γ$	0.1794	39.45
$λ_{1}$	0.0085	3.96
$λ_{2}$	0.0484	3.57
$λ_{3}$	0.9450	61.34

Estimation Period:
Jan 1, 1990 to Sep 30, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts